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0434202 - ÚTIA 2016 RIV GB eng J - Journal Article
Baruník, Jozef - Kukačka, Jiří
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility.
Quantitative Finance. Roč. 15, č. 6 (2015), s. 959-973. ISSN 1469-7688. E-ISSN 1469-7696
R&D Projects: GA ČR GA402/09/0965; GA ČR GA13-32263S
EU Projects: European Commission 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : Stochastic cusp catastrophe model * Realized volatility * Bifurcations * Stock market crash
Subject RIV: AH - Economics
Impact factor: 0.794, year: 2015
http://library.utia.cas.cz/separaty/2014/E/barunik-0434202.pdf
Permanent Link: http://hdl.handle.net/11104/0238360